In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...

Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? Public available data could include asset price, volume, and flow data, and may be ...

I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...

I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. ...

The question is inspired by yesterday's (06/09/11) historic announcement by the Swiss National Bank that it would impose a ceiling on the franc of 1.20 against the euro.
I would like to know if there ...

In most textbooks Ito's lemma is derived (on different levels of technicality depending on the intended audience) and then only the classic examples of Geometric Brownian motion and the Black-Scholes ...

I am looking for papers that would describe asset allocation with geometry, group theory, markov chains or things like that. Keeping asset allocation in a range is easy but to keep it more precisely ...

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria?
Something ...

Sell-side analysts' earnings estimates for individual companies, typically reported by I/B/E/S, are a key ingredient to many quantitative models. However, revisions to analyst estimates tend to lag ...

I am looking for a book which teaches mathematical topics which are relevant to master quantitative finance and statistics.
Please note, I do not mean a book which would explain how math is applied ...

Path-dependent options in BS framework is intuitive to price with monte-carlo under risk-neutral measure, however it appears that several kinds can be priced with PDEs. I understand how does the story ...

I'm trying to learn Black-Litterman. I feel like I get the overall idea from books like Risk and Asset Allocation by Meucci as well as some of the early papers which develop the model. What I would ...

What is the most concise way to learn about bond and interest rate models from the book Mathematical Models of Financial Derivatives by Yue-Kuen Kwok? I have studied Oksendals Stochastic Differential ...

While I prepared some quick and lazy charts picking just the first 10 symbols out of the SP500 for this other question I observed, that the first 10 symbols (figure 1) actually outperformed the larger ...

What is some prerequisite book in mathematics or finance that can help me to read "mathematical methods for financial markets"?
I found a lot of difficulties when try to start to read the PDF of this ...

Suppose funds X and Y are the same but X has 0.25% higher management cost. Suppose we are analyzing a 2 year interval. The simple models with discrete/continuous interval -assumptions are not really ...

I'm currently taking this Coursera course on financial engineering, which is fine but it's very focused on applications instead of proofs. They recommend Investment Science as a companion text, but ...

Hello I'm looking for papers, aside from ones that use CDS spreads, about credit rating development or estimating default probability based on financial ratios that also include methodology and maybe ...

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing.
Please could someone help me leaving some references? If ...

I have another question about interest rates. In this case it is about swaption and how to come up with a pricing formula. For the rest of my question I use the notation from Brigo. The payoff of a ...

The vast majority of what I have read about quantitave finance is to do with option pricing and time series analysis for forecasting. However the economy as a whole behaves as a dynamic system with ...

I am looking for an easy and well presented introduction to Black-Scholes theory and stochastic calculus aimed at undergraduate mathematics students. Please can you recommend a book?
How about Paul ...

I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...

I've been tasked with researching trading strategies relating PCA to trading fixed income futures instruments. Apparently PCA is frequently used in this area. I'm just looking for some references for ...

What are some good, preferably free, introductions to leveraged loans, also known as syndicated loans or bank loans? The introduction should describe the basic mechanics and very importantly provide ...

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE.
For example, when we talk about the volume traded during the day, what share of that volume has been ...